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The Joint Distribution of the Maximum Excursion and the Minimum Excursion for Brownian Motion with Drift

Run Xu

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Abstract

In this paper,we discuss the problem of extreme value for Brownian motion with positive drift.We obtain the joint distribution of the maximum excursion and the minimum excursion.

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What this paper is about

In this paper,we discuss the problem of extreme value for Brownian motion with positive drift.We obtain the joint distribution of the maximum excursion and the minimum excursion.

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Available abstract

In this paper,we discuss the problem of extreme value for Brownian motion with positive drift.We obtain the joint distribution of the maximum excursion and the minimum excursion.

Key concepts: Excursion, Mathematics, Brownian excursion, Brownian motion, Reflected Brownian motion, Geometric Brownian motion, Distribution (mathematics), Joint probability distribution

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